Yes. Auto-login makes every new site visitor automatically logged in as a Guest.
This option is a powerful one because it makes your chat noticeable to all your websites visitors but it has to be used wisely. Suppose you have lots of daily visits to your website and many visitors are also registered as regular users on your site. Sometimes, to maintain consistency and privacy, you might not want to have any random people logged in to the chat automatically without proper authentication.
The decision whether to set the auto-login on also depends on the type of the site and the content that is being offered. It is definitely worth it to test both scenarios and see which one works best for you.